Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0106
Annualized Std Dev 0.1438
Annualized Sharpe (Rf=0%) -0.0738

Row

Daily Return Statistics

Close
Observations 4650.0000
NAs 1.0000
Minimum -0.1858
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.1229
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0091
Skewness -1.3684
Kurtosis 56.3129

Downside Risk

Close
Semi Deviation 0.0066
Gain Deviation 0.0066
Loss Deviation 0.0076
Downside Deviation (MAR=210%) 0.0117
Downside Deviation (Rf=0%) 0.0066
Downside Deviation (0%) 0.0066
Maximum Drawdown 0.4479
Historical VaR (95%) -0.0125
Historical ES (95%) -0.0206
Modified VaR (95%) -0.0078
Modified ES (95%) -0.0078
From Trough To Depth Length To Trough Recovery
2012-07-27 2020-03-18 NA -0.4479 2175 1921 NA
2002-10-04 2008-10-10 2010-08-23 -0.4114 1984 1515 469
2010-09-22 2011-01-14 2011-12-27 -0.1613 320 81 239
2012-03-01 2012-03-26 2012-06-22 -0.0971 80 18 62
2012-02-03 2012-02-17 2012-02-29 -0.0371 18 11 7

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA -0.1 0 0.1 -2.1 -2
2003 0.2 -0.5 0.5 0.4 -0.9 0.3 1.4 0.3 -0.9 0.5 0.9 0.5 2.7
2004 0.1 -0.1 0.3 0.2 -1.3 0.6 0.7 -0.2 0.5 0.2 -0.7 0.4 0.7
2005 0.4 -0.4 0 0.6 -0.1 0.5 -1.2 0.1 -0.6 -0.1 -0.7 -0.3 -1.8
2006 -0.7 0.7 1.2 -1.5 0.1 -0.3 -0.4 0.3 0.7 1 0.9 -0.6 1.2
2007 -0.8 0 0.3 0.4 -0.6 1 1.1 0.2 0.4 -1.2 1.8 1 3.6
2008 0.3 -0.9 1.1 0.2 -0.2 0.2 0.3 0 -0.4 0.7 -0.9 -1.3 -0.9
2009 -0.8 0.2 -0.4 0.1 0.2 1 0.2 0.2 0.8 0.2 -0.7 -0.8 0.2
2010 0.4 -0.4 -0.8 -1.2 0 -0.4 -0.1 1.7 -1 -0.3 -2 1.1 -3.1
2011 -0.2 0.2 0.5 0.4 0.4 0.7 0.5 0 -0.8 0.8 0.8 1.4 4.9
2012 1.1 -1.1 -0.4 0.2 -0.4 0 -0.6 0.1 -0.3 0.7 -0.6 0.3 -1.1
2013 0.7 -0.5 -0.3 -1 -0.7 -1.8 -0.3 -1.3 0 -1.1 -0.8 1 -5.9
2014 0.6 -1.6 -0.1 0.1 -0.6 -0.3 0.4 -0.6 0.6 0.1 0 0 -1.5
2015 1 0 -0.3 -1.3 0.4 0.7 3.6 -0.1 1.2 -0.6 0.1 -0.1 4.7
2016 0.7 1 0.8 0.3 1.2 0 0.2 -0.5 -0.4 -0.7 -0.2 -0.1 2.2
2017 -0.2 -0.2 0.6 -0.5 0.2 0.2 0.5 -0.5 0.6 -0.2 -0.2 0.1 0.4
2018 -0.6 -0.2 0.2 -0.5 -0.1 -0.3 0 0.1 -0.4 0.3 -0.2 0.7 -0.9
2019 -0.2 0.1 -2.8 -0.1 0.1 0 0.7 0 -0.3 0.3 -0.1 0.3 -1.9
2020 0.1 -1.5 -4 0.7 1 0.8 0.2 -0.3 0.4 -0.3 0.7 -0.1 -2.3
2021 0.1 0.7 0.6 NA NA NA NA NA NA NA NA NA 1.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-09-25  15   SPY    84.4  0.0248  -0.0299  -0.114   -0.137    -0.171   -0.355       NA <NA>     NA    NA       NA
2 2002-09-26  15.0 SPY    85.7  0.0164   0.0122  -0.0895  -0.138    -0.154   -0.344       NA <NA>     NA    NA       NA
3 2002-09-27  15.0 SPY    82.8 -0.0348  -0.019   -0.102   -0.164    -0.191   -0.353       NA <NA>     NA    NA       NA
4 2002-09-30  15.0 SPY    81.8 -0.0116  -0.0224  -0.112   -0.157    -0.217   -0.360       NA <NA>     NA    NA       NA
5 2002-10-01  15   SPY    85.7  0.048    0.0414  -0.066   -0.0974   -0.178   -0.333       NA <NA>     NA    NA       NA
6 2002-10-02  15   SPY    83.2 -0.03    -0.0142  -0.0581  -0.129    -0.212   -0.352       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart